After more than 25 years at the Missouri State Employees’ Retirement System, chief investment officer Shannon Davidson is retiring.
MOSERS, which had $9.1 billion in assets under management as of December 31, revealed in a job listing that Davidson is set to step down sometime between October 2021 and January 2022. He has been the retirement system’s CIO for just over a year.
In December 2019, MOSERS’ former CIO, Seth Kelly, stepped down. He joined the Pennsylvania State Employees’ Retirement System as CIO in June 2020, Institutional Investor reported at the time.
After Kelly resigned, Davidson stepped in as CIO and has since helped the retirement system to complete its plan to revamp its asset allocation. Since 2018, the pension fund added private credit, private and public real assets, private equity, hedge funds, and a more nuanced bond investing approach to its portfolio, its website shows.
“Shannon has utilized his many years of experience and insight to steer the MOSERS investment program,” said Ronda Stegmann, executive director at the retirement system, via email. “His keen ability to lead and mentor has benefited all levels of MOSERS staff and the organization as a whole.”
Davidson joined the retirement system in 1996 as a manager of investment risk and performance, his LinkedIn profile shows. He rose through the ranks and became the system’s deputy chief investment officer in 2015.
The new chief investment officer’s earliest potential start date is September 1, according to the job listing. The retirement system expects to complete three rounds of interviews with candidates once the application window tentatively closes on April 30.
The incoming CIO will be tasked with building out MOSERS’ private equity allocation. At present, that allocation makes up five percent of the portfolio, while the system is targeting an allocation of 15%.
The CIO will also build out the retirement system’s private real estate and credit allocations and complete an asset/liability study. They will manage the investment team’s staff of 14 people, the listing added.
According to the listing, MOSERS returned 15.5 percent for the year ending December 31, outperforming its benchmark by 4.5 percentage points. The fund’s ten-year return was 6.9 percent, it showed.
A spokesperson for MOSERS did not immediately return an email seeking comment Monday.